The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry
- Castle, Jennifer(British Academy Postdoctoral Fellow in Economics)Shephard, Neil(Professor of Economics at Oxford University and Research Director of the University's Oxford-Man Institute)Registered editor(s):
David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bardsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Soren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer. Contributors to this volume - Karim Abadir, Imperial College London Anindya Banerjee, University of Birmingham Gunnar Bardsen, Norwegian University of Science and Technology Andreas Beyer, European Central Bank Mike Clements, University of Warwick James Davidson, University of Exeter Selva Demiralp, Koc University Juan Dolado, Universidad Carlos III de Madrid Jurgen Doornik, University of Oxford Robert Engle, University of California, San Diego Neil Ericsson, Board of Governors of the Federal Reserve System Jesus Gonzalo, Universidad Carlos III de Madrid Clive Granger, University of California, San Diego David Hendry, University of Oxford Kevin Hoover, Duke University Soren Johansen, University of Copenhagen Katarina Juselius, University of Copenhagen Steven Kamin, Board of Governors of the Federal Reserve System Pauline Kennedy, Bates White, LLC Maozu Lu, University of Southampton Massimiliano Marcellino, Bocconi University and European University Institute Laura Mayoral, Institut d'Analisi Economica (CSIC) Grayham Mizon, University of Southampton Bent Nielsen, University of Oxford Ragnor Nymoen, University of Oslo Jim Stock, Harvard University and the National Bureau of Economic Research Pravin Trivedi, Indiana University, Bloomington Paolo Paruolo, University of Insubria Stephen J. Perez, California State University Mark Watson, Princeton University and the National Bureau of Economic Research Halbert White, University of California, San Diego David Zimmer, Western Kentucky University
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- White, Halbert & Pettenuzzo, Davide, 2014.
"Granger causality, exogeneity, cointegration, and economic policy analysis,"
Journal of Econometrics,
Elsevier, vol. 178(P2), pages 316-330.
- Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Businesss School.
- Bystrov, Victor & di Salvatore, Antonietta, 2012. "Martingale approximation for common factor representation," MPRA Paper 37669, University Library of Munich, Germany.
- Reinhold Heinlein & Hans-Martin Krolzig, 2011. "Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?," Studies in Economics 1124, School of Economics, University of Kent.
- Søren Johansen & Bent Nielsen, 2011.
"Asymptotic theory for iterated one-step Huber-skip estimators,"
CREATES Research Papers
2011-40, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Bent Nielsen, 2011. "Asymptotic theory for iterated one-step Huber-skip estimators," Discussion Papers 11-29, University of Copenhagen. Department of Economics.
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